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Why Hedge? - A Critical Review of Theory and Empirical Evidence -

Ammon, Norbert - 1998

Der Artikel gibt einen Literaturüberblick zur Fragestellung, warum Unternehmen Risikomanagement betreiben und …

Persistent link: https://www.econbiz.de/10010297586

Risk management with default-risky forwards

Korn, Olaf - 2008

This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging decisions. Using a model of a risk-averse competitive firm under price uncertainty, it derives several fundamental results. If expected profits from forward contracts are zero, the...

Persistent link: https://www.econbiz.de/10010302529

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?

Rünger, Petra; Walther, Ursula - 2004

Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …

Persistent link: https://www.econbiz.de/10010305656

Management of FX settlement risk in Hungary (Report II): Payments and securities settlements

Tanai, Eszter - 2008

[...] The objective of this study is to analyse - relying on 2006 data - FX settlement risk that may arise in the domestic banking system under its current operations, and to chart the changes which took place after 2000, covering improvements and, if necessary, formulating (new) recommendations...

Persistent link: https://www.econbiz.de/10010322397

The impact of delivery risk on optimal production and futures hedging

Adam-Müller, Axel F. A.; Wong, Kit Pong - 2002

Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers are typically allowed to choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price of the cheapest-to-deliver grade rather than to that of...

Persistent link: https://www.econbiz.de/10010324071

On the Variation of Hedging Decisions in Daily Currency Risk Management

Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001

Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluatethe returns from optimal and alternative currency hedging strategies, for a series of 7 models,using...

Persistent link: https://www.econbiz.de/10010325077

Dynamic Hedging of Real Wealth Risk

Schubert, Stefan; Broll, Udo - 2005

International and national investors are often exposed to real wealth risks, stemming from volatile asset prices and inflation uncertainty, making it difficult to stabilize consumption patterns. However, investors can enter futures markets to hedge against these risks. The paper develops a...

Persistent link: https://www.econbiz.de/10010296789

Differential Taxation and Corporate Futures-Hedging

Wahl, Jack E.; Broll, Udo - 2007

Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and differential income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging reduces. We...

Persistent link: https://www.econbiz.de/10010296818

The New Basel Accord and the Nature of Risk: A Game Theoretic Perspective

Siebe, Wilfried; Milde, Hellmuth; Broll, Udo; Bieta, Volker - 2007

Basel II changes risk management in banks strongly. Internal rating procedures would lead one to expect that banks are changing over to active risk control. But, if risk management is no longer a simple "game against nature", if all agents involved are active players then a shift from a...

Persistent link: https://www.econbiz.de/10010296819